So indeed, the "prevent this page from creating additional dialogues" message is just a browser feature, and is nothing to worry about.

Background: let's say you're on a page that wants to bombard you with dialog popup windows. Or perhaps you have something in the code of your own site that creates those popups (for debugging purposes for example). To get a bunch of popups over and over again, can be a little annoying, so the checkbox is just meant to "cancel" that.